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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 12, issue 12, 2012

Inconvenience yield, or the theory of normal contango pp. 1773-1777 Downloads
Ilia Bouchouev
Long--short versus long-only commodity funds pp. 1779-1785 Downloads
John M. Mulvey
The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin pp. 1787-1789 Downloads
Lloyd Kurtz
Determinants of oil futures prices and convenience yields pp. 1795-1809 Downloads
M. A. H. Dempster, Elena Medova and Ke Tang
Pricing and hedging of long-term futures and forward contracts by a three-factor model pp. 1811-1826 Downloads
Kenichiro Shiraya and Akihiko Takahashi
An empirical study of the impact of skewness and kurtosis on hedging decisions pp. 1827-1837 Downloads
Jing-Yi Lai
Analyzing the dynamics of the refining margin: implications for valuation and hedging pp. 1839-1855 Downloads
Andrés García Mirantes, Javier Población and Gregorio Serna
Quantitative spread trading on crude oil and refined products markets pp. 1857-1875 Downloads
Mark Cummins and Andrea Bucca
Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market pp. 1877-1891 Downloads
Yijun Du, Chen Wang and Yibing Du
Time-frequency analysis of crude oil and S&P500 futures contracts pp. 1893-1908 Downloads
Joseph McCarthy and Alexei Orlov
Short-horizon return predictability and oil prices pp. 1909-1934 Downloads
Jaime Casassus and Freddy Higuera
Modeling the distribution of day-ahead electricity returns: a comparison pp. 1935-1949 Downloads
Sandro Sapio
The valuation of clean spread options: linking electricity, emissions and fuels pp. 1951-1965 Downloads
René Carmona, Michael Coulon and Daniel Schwarz

Volume 12, issue 11, 2012

The end of diversification pp. 1629-1636 Downloads
Jessica James, Kristjan Kasikov and Kerry-Ann Edwards
A look at side-by-side management: evidence from ETFs and mutual funds pp. 1637-1645 Downloads
Herminio Romero-Pérez and Javier Rodríguez
Finance and the Good Society, by Robert J. Shiller pp. 1647-1648 Downloads
Con Keating
Robust and adaptive algorithms for online portfolio selection pp. 1651-1662 Downloads
Theodoros Tsagaris, Ajay Jasra and Niall Adams
Pricing the Chicago Board of Trade T-Bond futures pp. 1663-1678 Downloads
Ramzi Ben-Abdallah, Hatem Ben-Ameur and Michèle Breton
Options on realized variance by transform methods: a non-affine stochastic volatility model pp. 1679-1694 Downloads
Gabriel G. Drimus
Truncation and acceleration of the Tian tree for the pricing of American put options pp. 1695-1708 Downloads
Ting Chen and Mark Joshi
The macroeconomic content of international equity market factors pp. 1709-1721 Downloads
Sarantis Tsiaplias
Testing for a rational bubble under long memory pp. 1723-1732 Downloads
Michael Frömmel and Robinson Kruse
The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure pp. 1733-1751 Downloads
Maria Bontempi and Roberto Golinelli
An experimental study on real-options strategies pp. 1753-1772 Downloads
Mei Wang, Abraham Bernstein and Marc Chesney

Volume 12, issue 10, 2012

Capital regulation and auditing pp. 1467-1475 Downloads
Ensar Yilmaz and Burak Ünveren
On the role of risk in the Morningstar rating for mutual funds pp. 1477-1486 Downloads
Francesco Lisi and Massimiliano Caporin
Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger pp. 1487-1489 Downloads
Alec N. Kercheval
Dynamical clustering of exchange rates pp. 1493-1520 Downloads
Daniel J. Fenn, Mason A. Porter, Peter J. Mucha, Mark McDonald, Stacy Williams, Neil F. Johnson and Nick S. Jones
Do jumps mislead the FX market? pp. 1521-1532 Downloads
Jean-Yves Gnabo, Jérôme Lahaye, Sébastien Laurent and Christelle Lecourt
Trending time-varying coefficient market models pp. 1533-1546 Downloads
Chongshan Zhang and Xiangrong Yin
Market risks in asset management companies pp. 1547-1556 Downloads
Bernd Scherer
Fast simulations in credit risk pp. 1557-1569 Downloads
Halis Sak and Wolfgang Hörmann
A new method for generating approximation algorithms for financial mathematics applications pp. 1571-1583 Downloads
Frank Fabozzi, Arturo Leccadito and Radu S. Tunaru
Consumer confidence and stock returns over market fluctuations pp. 1585-1597 Downloads
Shiu-Sheng Chen
Firm size, information acquisition and price efficiency pp. 1599-1614 Downloads
Tian Zhao
Optimal insurance contract and coverage levels under loss aversion utility preference pp. 1615-1628 Downloads
Ching-Ping Wang and Hung-Hsi Huang

Volume 12, issue 9, 2012

VaR limits for pension funds: an evaluation pp. 1315-1324 Downloads
Solange Berstein and Romulo Chumacero
Two stock options at the races: Black--Scholes forecasts pp. 1325-1333 Downloads
G. Oshanin and G. Schehr
Boomerang, by Michael Lewis pp. 1335-1336 Downloads
Nicholas Dunbar
A liquidity-based model for asset price bubbles pp. 1339-1349 Downloads
Robert Jarrow, Philip Protter and Alexandre F. Roch
Financial crisis dynamics: attempt to define a market instability indicator pp. 1351-1365 Downloads
Youngna Choi and Raphael Douady
Statistical signatures in times of panic: markets as a self-organizing system pp. 1367-1379 Downloads
Lisa Borland
Z -Transform and preconditioning techniques for option pricing pp. 1381-1394 Downloads
Gianluca Fusai, Daniele Marazzina, Marina Marena and Michael Ng
The price impact of order book events: market orders, limit orders and cancellations pp. 1395-1419 Downloads
Zoltán Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Volatility behavior, information efficiency and risk in the S&P 500 index markets pp. 1421-1437 Downloads
Shu-Mei Chiang, Huimin Chung and Chien-Ming Huang
IPO pricing: a case of short-sale restrictions and divergent expectations pp. 1439-1451 Downloads
Richard J. Kish, Nandkumar Nayar and Wenlong Weng
A paradigm shift from production function to production copula: statistical description of production activity of firms pp. 1453-1466 Downloads
Hiroshi Iyetomi, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda and Wataru Souma

Volume 12, issue 8, 2012

Stock market crashes in 2007--2009: were we able to predict them? pp. 1161-1187 Downloads
Sebastien Lleo and William T. Ziemba
Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics pp. 1189-1192 Downloads
C. Schinckus
Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown pp. 1193-1195 Downloads
Roger Stein
Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis pp. 1199-1218 Downloads
Rama Cont and Cathrine Jessen
Pricing CDOs with state-dependent stochastic recovery rates pp. 1219-1240 Downloads
Salah Amraoui, Laurent Cousot, Sebastien Hitier and Jean-Paul Laurent
Forward-neutral valuation relationships for options on zero coupon bonds pp. 1241-1252 Downloads
António Câmara and Ana Câmara
Universal price impact functions of individual trades in an order-driven market pp. 1253-1263 Downloads
Wei-Xing Zhou
Path-dependent scenario trees for multistage stochastic programmes in finance pp. 1265-1281 Downloads
Giorgio Consigli, Gaetano Iaquinta and Vittorio Moriggia
The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE) pp. 1283-1298 Downloads
Guy Kaplanski and Haim Levy
Financial factors and firm growth: evidence from financial data on Taiwanese firms pp. 1299-1314 Downloads
Khurshid Kiani, Ellen Huiru Chen and Zagros Madjd-Sadjadi

Volume 12, issue 7, 2012

Mortgage valuation: a quasi-closed-form solution pp. 993-1001 Downloads
Cristina Viegas and José Azevedo-Pereira
New analytical option pricing models with Weyl--Titchmarsh theory pp. 1003-1010 Downloads
Jin E. Zhang and Yishen Li
An Introduction to Austrian Economics, by Thomas C. Taylor pp. 1011-1012 Downloads
Barry Schachter
How does the market react to your order flow? pp. 1015-1024 Downloads
B. Tóth, Z. Eisler, F. Lillo, J. Kockelkoren, J.-P. Bouchaud and J. Farmer
Reduced form modeling of limit order markets pp. 1025-1036 Downloads
Pekka Malo and Teemu Pennanen
Measuring large comovements in financial markets pp. 1037-1049 Downloads
Jeremy Penzer, Friedrich Schmid and Rafael Schmidt
Cycles, determinism and persistence in agent-based games and financial time-series: part I pp. 1051-1064 Downloads
J. B. Satinover and D. Sornette
Cycles, determinism and persistence in agent-based games and financial time-series: part II pp. 1065-1078 Downloads
J. B. Satinover and D. Sornette
Option pricing for GARCH-type models with generalized hyperbolic innovations pp. 1079-1094 Downloads
Christophe Chorro, Dominique Guegan and Florian Ielpo
GARCH options via local risk minimization pp. 1095-1110 Downloads
Juan-Pablo Ortega
A class of stochastic volatility models and the q -optimal martingale measure pp. 1111-1117 Downloads
Sotirios Sabanis
An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs pp. 1119-1141 Downloads
Artur Sepp
Choosing the optimal annuitization time post-retirement pp. 1143-1159 Downloads
Russell Gerrard, Bjarne Højgaard and Elena Vigna

Volume 12, issue 6, 2012

Entrepreneurship and innovation in financial institutions pp. 831-837 Downloads
Chander Velu
From credit valuation adjustments to credit capital commitments pp. 839-845 Downloads
Dilip B. Madan
Realism in quantitative finance: a note pp. 847-848 Downloads
Andreas Andrikopoulos
The Darwin Economy: Liberty, Competition, and the Common Good, by Robert H. Frank pp. 849-851 Downloads
Terence Burnham
Hedging derivatives with model error pp. 855-863 Downloads
Robert Jarrow
Optimal stopping under model uncertainty and the regularity of lower Snell envelopes pp. 865-871 Downloads
Treviño-Aguilar Erick
General approximation schemes for option prices in stochastic volatility models pp. 873-891 Downloads
Karl Larsson
Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability pp. 893-905 Downloads
Yuko Hashimoto, Takatoshi Ito, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu and Tsutomu Watanabe
Exchange rate and inflation risk premia in the EMU pp. 907-931 Downloads
Begoña Font and Alfredo Juan Grau
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates pp. 933-941 Downloads
Jingjiang Peng, Kwai Sun Leung and Yue Kuen Kwok
Monitoring the board: should shareholders have direct proxy access? pp. 943-950 Downloads
Gilberto Loureiro
Time varying betas and the unconditional distribution of asset returns pp. 951-967 Downloads
C. J. Adcock, M. Ceu Cortez, M. J. Rocha Armada and Florinda Silva
Do industries contain predictive information for the Fama--French factors? pp. 969-991 Downloads
Chikashi Tsuji

Volume 12, issue 5, 2012

A strategy-proof test of portfolio returns pp. 671-683 Downloads
Dean P. Foster and H. Young
Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group pp. 685-689 Downloads
Emmanuel Bacry, Marc Hoffmann and Mathieu Rosenbaum
Stochastic Analysis with Financial Applications, by Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu (Eds.) pp. 691-692 Downloads
Greg Gupton
Leverage causes fat tails and clustered volatility pp. 695-707 Downloads
Stefan Thurner, J. Farmer and John Geanakoplos
Unbounded liabilities, capital reserve requirements and the taxpayer put option pp. 709-724 Downloads
Ernst Eberlein and Dilip B. Madan
A closed-form solution to American options under general diffusion processes pp. 725-737 Downloads
Jing Zhao and Hoi Ying Wong
Estimation of multiple period expected shortfall and median shortfall for risk management pp. 739-754 Downloads
Mike K. P. So and Chi-Ming Wong
Probability-unbiased Value-at-Risk estimators pp. 755-768 Downloads
Ivo Francioni and Florian Herzog
Bayesian Value-at-Risk with product partition models pp. 769-780 Downloads
Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini and Claudia Tarantola
Time-varying long-run mean of commodity prices and the modeling of futures term structures pp. 781-790 Downloads
Ke Tang
Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange pp. 791-804 Downloads
Joey Wenling Yang and Jerry Parwada
Coupling index and stocks pp. 805-818 Downloads
Benjamin Jourdain and Mohamed Sbai
Performance evaluation of balanced pension plans pp. 819-830 Downloads
Laura Andreu and Laurens Swinkels

Volume 12, issue 4, 2012

The scale of market quakes pp. 501-508 Downloads
T. Bisig, A. Dupuis, V. Impagliazzo and R. B. Olsen
Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman pp. 509-511 Downloads
M.A.H. Dempster
Foreword pp. 515-515 Downloads
Ionut Florescu, Maria C. Mariani, H. Eugene Stanley and Frederi G. Viens
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange pp. 517-530 Downloads
Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo and Rosario Mantegna
Model calibration and automated trading agent for Euro futures pp. 531-545 Downloads
Germán Creamer
A generalized birth--death stochastic model for high-frequency order book dynamics pp. 547-557 Downloads
He Huang and Alec N. Kercheval
High-frequency trading model for a complex trading hierarchy pp. 559-566 Downloads
Boris Podobnik, Duan Wang and H. Eugene Stanley
Hidden noise structure and random matrix models of stock correlations pp. 567-572 Downloads
Ivailo I. Dimov, Petter N. Kolm, Lee Maclin and Dan Y. C. Shiber
Regularization for stationary multivariate time series pp. 573-586 Downloads
Yan Sun and Xiaodong Lin
Integer-valued Lévy processes and low latency financial econometrics pp. 587-605 Downloads
Ole E. Barndorff-Nielsen, David G. Pollard and Neil Shephard
Estimation of quarticity with high-frequency data pp. 607-622 Downloads
Maria Elvira Mancino and Simona Sanfelici
Detecting market crashes by analysing long-memory effects using high-frequency data pp. 623-634 Downloads
E. Barany, M. P. Beccar Varela, I. Florescu and I. Sengupta
Stochastic volatility and option pricing with long-memory in discrete and continuous time pp. 635-649 Downloads
Alexandra Chronopoulou and Frederi G. Viens
Systemic risk components and deposit insurance premia pp. 651-662 Downloads
Jeremy Staum
Nonlinear problems modeling stochastic volatility and transaction costs pp. 663-670 Downloads
Maria C. Mariani and Indranil SenGupta

Volume 12, issue 3, 2012

On monitoring financial stress index with extreme value theory pp. 329-339 Downloads
Amira Dridi, Mohamed El Ghourabi and Mohamed Limam
Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda pp. 341-342 Downloads
Agostino Capponi
Positive return premia in Japan pp. 345-367 Downloads
Chikashi Tsuji
Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan pp. 369-382 Downloads
Pin-Huang Chou, Kuan-Cheng Ko, Szu-Tsen Kuo and Shinn-Juh Lin
The performance of enhanced-return index funds: evidence from bootstrap analysis pp. 383-395 Downloads
An-Sing Chen, Yeh-Chung Chu and Mark T. Leung
Nonlinear interdependence of the Chinese stock markets pp. 397-410 Downloads
Abdol Soofi, Zhe Li and Xiaofeng Hui
Models for stock returns pp. 411-424 Downloads
Saralees Nadarajah
Converse trading strategies, intrinsic noise and the stylized facts of financial markets pp. 425-436 Downloads
Frank Westerhoff and Reiner Franke
A comparison of statistical tests for the adequacy of a neural network regression model pp. 437-449 Downloads
Nikos S. Thomaidis and Georgios D. Dounias
Pricing dynamic binary variables and their derivatives pp. 451-464 Downloads
David G. Luenberger
Real options with a double continuation region pp. 465-475 Downloads
Anna Battauz, Marzia De Donno and Alessandro Sbuelz
Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance pp. 477-488 Downloads
Bin Lu, Xin-Yuan Song and Xin-Dan Li
Temperature models for pricing weather derivatives pp. 489-500 Downloads
Frank Schiller, Gerold Seidler and Maximilian Wimmer

Volume 12, issue 2, 2012

The euro's impacts on the smooth transition dynamics of stock market volatilities pp. 169-179 Downloads
Ray Chou, Chun-Chou Wu and Yi-Nung Yang
Option Prices as Probabilities: A New Look at Generalized Black--Scholes Formulae, by C. Profeta, B. Roynette and M. Yor pp. 181-182 Downloads
Steven Evans
Analytical formulas for a local volatility model with stochastic rates pp. 185-198 Downloads
Eric Benhamou, E. Gobet and M. Miri
Stochastic volatility models including open, close, high and low prices pp. 199-212 Downloads
Enrique Ter Horst, Abel Rodriguez, Henryk Gzyl and German Molina
Discovering stock dynamics through multidimensional volatility phases pp. 213-230 Downloads
Hsieh Fushing, Shu-Chun Chen and Chii-Ruey Hwang
An unbiased autoregressive conditional intraday seasonal variance filtering process pp. 231-247 Downloads
Jang Hyung Cho and Robert T. Daigler
Swap rate variance swaps pp. 249-261 Downloads
Nicolas Merener
Discrete sine transform for multi-scale realized volatility measures§ pp. 263-279 Downloads
Giuseppe Curci and Fulvio Corsi
Fourier volatility forecasting with high-frequency data and microstructure noise pp. 281-293 Downloads
Emilio Barucci, Davide Magno and Maria Elvira Mancino
Contagion determination via copula and volatility threshold models pp. 295-310 Downloads
Veni Arakelian and Petros Dellaportas
Does herding affect volatility? Implications for the Spanish stock market pp. 311-327 Downloads
Natividad Blasco, Pilar Corredor and Sandra Ferreruela

Volume 12, issue 1, 2012

The times change: multivariate subordination. Empirical facts pp. 1-10 Downloads
Nicolas Huth and Frédéric Abergel
Financial engineering at Columbia University pp. 11-14 Downloads
Mark Broadie, Emanuel Derman, Paul Glasserman and Steven Kou
Markov Decision Processes with Applications to Finance, by N. Bäuerle and U. Rieder pp. 15-16 Downloads
Jon McAuliffe
On the analytical/numerical pricing of American put options against binomial tree prices pp. 17-20 Downloads
Mark Joshi and Mike Staunton
On the binomial tree method and other issues in connection with pricing Bermudan and American options pp. 21-26 Downloads
András Prékopa and Tamás Szántai
Equity quantile upper and lower swaps pp. 29-37 Downloads
Dilip B. Madan and Martijn Pistorius
Mark-to-model for cash CDOs through indifference pricing pp. 39-48 Downloads
Guillaume Bernis
Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators pp. 49-60 Downloads
Jimmy E. Hilliard and Jitka Hilliard
Arbitrage-free approximation of call price surfaces and input data risk pp. 61-73 Downloads
Judith Glaser and Pascal Heider
A generalized variance gamma process for financial applications pp. 75-87 Downloads
Roberto Marfè
Extension of stochastic volatility equity models with the Hull--White interest rate process pp. 89-105 Downloads
Lech Grzelak, Cornelis W. Oosterlee and Sacha Van Weeren
Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets pp. 107-118 Downloads
Mohamed Ariff and Vijaya B. Marisetty
Term structure movements implicit in Asian option prices pp. 119-134 Downloads
Caio Almeida and José Vicente
A probabilistic clustering method for US interest rate analysis pp. 135-148 Downloads
Foued Saâdaoui
A jump-diffusion model for the euro overnight rate pp. 149-165 Downloads
Mattia Raudaschl
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